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https://oarep.usim.edu.my/jspui/handle/123456789/2660
Title: | Homotopy perturbation method for fractional black-scholes european option pricing equations using sumudu transform | Authors: | Elbeleze A.A. Kiliçman A. Taib B.M. |
Issue Date: | 2013 | Publisher: | Mathematical Problems in Engineering | Journal: | Open Access | Abstract: | The homotopy perturbation method, Sumudu transform, and He's polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense. Further, the same equation is solved by homotopy Laplace transform perturbation method. The results obtained by the two methods are in agreement. The approximate analytical solution of Black-Scholes is calculated in the form of a convergence power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method. © 2013 Asma Ali Elbeleze et al. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84878636659&doi=10.1155%2f2013%2f524852&partnerID=40&md5=007687991f439c6b2ea988e22a568315 http://hdl.handle.net/123456789/2660 |
ISSN: | 1024123X | DOI: | 10.1155/2013/524852 |
Appears in Collections: | Scopus |
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File | Description | Size | Format | |
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Homotopy perturbation method for fractional black-scholes european option pricing equations using sumudu transform.pdf | 2.52 MB | Adobe PDF | View/Open |
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